total return swap

Collateral arrangements in catastrophe bond deals, not a subject we touch on particularly often, but something worth revisiting now that the long forecast death of the total return swap as collateral solution is almost upon us. When we last covered the total return swaps demise back in December 2011, it accounted for approximately 12% of […]

The 2007 Blue Fin Ltd. catastrophe bond which Allianz sponsored to secure a parametric source of European windstorm coverage has had an amendment made to the investment guidelines for the underlying collateral invested in one of the tranches of notes of the transaction. The cat bond is due to be redeemed in April 2012 and […]

Here’s an interesting graph which shows how rapidly the catastrophe bond market has moved from one which was dominated by transactions with collateral structured as a total return swap to one predominantly using Treasury money market funds. Swiss Re shared this graph during their insurance-linked securities media event last week and it shows how the […]

Ever since the collapse of Lehman Brothers the tangled web of connections made through re/insurance linked deals with the firm have gradually unravelled to expose the massive influence and impact the companies failure had. A number of catastrophe bonds were impacted by Lehman’s collapse but the impact to reinsurers has spread beyond the cat bond […]

2009 has been the year that catastrophe bonds evolved to avoid the credit risk issues of the past caused by reliance on a total return swap counterparty for collateral. After the credit crisis proved that all financial instruments have some degree of correlation to the wider financial markets transactions completed this year have all taken […]